CME Canadian Dollar Future September 2011
| Trading Metrics calculated at close of trading on 11-Aug-2011 |
| Day Change Summary |
|
Previous |
Current |
|
|
|
|
10-Aug-2011 |
11-Aug-2011 |
Change |
Change % |
Previous Week |
| Open |
1.0223 |
1.0041 |
-0.0182 |
-1.8% |
1.0460 |
| High |
1.0224 |
1.0150 |
-0.0074 |
-0.7% |
1.0523 |
| Low |
1.0035 |
1.0022 |
-0.0013 |
-0.1% |
1.0139 |
| Close |
1.0096 |
1.0127 |
0.0031 |
0.3% |
1.0198 |
| Range |
0.0189 |
0.0128 |
-0.0061 |
-32.3% |
0.0384 |
| ATR |
0.0125 |
0.0125 |
0.0000 |
0.2% |
0.0000 |
| Volume |
162,619 |
137,835 |
-24,784 |
-15.2% |
659,094 |
|
| Daily Pivots for day following 11-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.0484 |
1.0433 |
1.0197 |
|
| R3 |
1.0356 |
1.0305 |
1.0162 |
|
| R2 |
1.0228 |
1.0228 |
1.0150 |
|
| R1 |
1.0177 |
1.0177 |
1.0139 |
1.0203 |
| PP |
1.0100 |
1.0100 |
1.0100 |
1.0112 |
| S1 |
1.0049 |
1.0049 |
1.0115 |
1.0075 |
| S2 |
0.9972 |
0.9972 |
1.0104 |
|
| S3 |
0.9844 |
0.9921 |
1.0092 |
|
| S4 |
0.9716 |
0.9793 |
1.0057 |
|
|
| Weekly Pivots for week ending 05-Aug-2011 |
|
Classic |
Woodie |
Camarilla |
DeMark |
| R4 |
1.1439 |
1.1202 |
1.0409 |
|
| R3 |
1.1055 |
1.0818 |
1.0304 |
|
| R2 |
1.0671 |
1.0671 |
1.0268 |
|
| R1 |
1.0434 |
1.0434 |
1.0233 |
1.0361 |
| PP |
1.0287 |
1.0287 |
1.0287 |
1.0250 |
| S1 |
1.0050 |
1.0050 |
1.0163 |
0.9977 |
| S2 |
0.9903 |
0.9903 |
1.0128 |
|
| S3 |
0.9519 |
0.9666 |
1.0092 |
|
| S4 |
0.9135 |
0.9282 |
0.9987 |
|
|
| High/Low/Range Statistics |
| Trading Days |
High |
Low |
Range |
Range % |
Average Range |
Average Range % |
Close % |
New High |
New Low |
Average Volume |
| 5 |
1.0255 |
0.9980 |
0.0275 |
2.7% |
0.0169 |
1.7% |
53% |
False |
False |
171,970 |
| 10 |
1.0529 |
0.9980 |
0.0549 |
5.4% |
0.0147 |
1.5% |
27% |
False |
False |
142,270 |
| 20 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0122 |
1.2% |
23% |
False |
False |
106,297 |
| 40 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0109 |
1.1% |
23% |
False |
False |
93,693 |
| 60 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0101 |
1.0% |
23% |
False |
False |
71,147 |
| 80 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0099 |
1.0% |
23% |
False |
False |
53,455 |
| 100 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0091 |
0.9% |
23% |
False |
False |
42,788 |
| 120 |
1.0617 |
0.9980 |
0.0637 |
6.3% |
0.0086 |
0.8% |
23% |
False |
False |
35,675 |
|
|
|
| Fibonacci Retracements and Extensions |
|
4.250 |
1.0694 |
|
2.618 |
1.0485 |
|
1.618 |
1.0357 |
|
1.000 |
1.0278 |
|
0.618 |
1.0229 |
|
HIGH |
1.0150 |
|
0.618 |
1.0101 |
|
0.500 |
1.0086 |
|
0.382 |
1.0071 |
|
LOW |
1.0022 |
|
0.618 |
0.9943 |
|
1.000 |
0.9894 |
|
1.618 |
0.9815 |
|
2.618 |
0.9687 |
|
4.250 |
0.9478 |
|
|
| Fisher Pivots for day following 11-Aug-2011 |
| Pivot |
1 day |
3 day |
| R1 |
1.0113 |
1.0119 |
| PP |
1.0100 |
1.0111 |
| S1 |
1.0086 |
1.0103 |
|